Backtesting Value-at-Risk: A GMM Duration-Based Test
This paper proposes a new duration-based backtesting procedure for value-at-risk (VaR) forecasts. The GMM test framework proposed by Bontemps (2006) to test for the distributional assumption (i.e., the...
View ArticleRobust Value at Risk Prediction
This paper proposes a robust semiparametric bootstrap method to estimate predictive distributions of GARCH-type models. The method is based on a robust estimation of parametric GARCH models and a...
View ArticleApproximate Derivative Pricing for Large Classes of Homogeneous Assets with...
We consider a homogeneous class of assets, whose returns are driven by an unobservable factor representing systematic risk. We derive approximated pricing formulas for the future factor values and...
View ArticleReflections--Legacies, Incentives, and Advice
Lessons from the early literature in environmental economics are used to assess the impact of an early contributor, Ralph C. d’Arge; discuss the prospects for designing incentive-based approaches to...
View ArticlePolicy Monitor: Trends in Clean Air Legislation in Europe: Particulate Matter...
The European Union (EU) Clean Air Directive is currently among the strictest acts of legislation worldwide concerning PM10 air pollution. The most visible result of the new PM10 legislation has been...
View ArticleEffects of Information on Environmental Quality in Developing Countries
How does information on environmental risks obtained by individuals in developing countries affect environmental quality? The literature reveals that for issues like water quality and pesticides,...
View ArticleShow Me the Money: Do Payments Supply Environmental Services in Developing...
Many of the services supplied by nature are externalities. Economic theory suggests that some form of subsidy or contracting between the beneficiaries and the providers could result in an optimal...
View ArticleAlternative Pollution Control Policies in Developing Countries
Weak environmental regulatory institutions in developing countries often undermine conventional command-and-control pollution control policies. As a result, these countries are increasingly...
View ArticleMicroeconomic Analysis of Innovative Environmental Programs in Developing...
Environmental management programs that attempt to cope with institutional weaknesses in developing countries by being less reliant on governments’ formal regulatory apparatus are becoming increasingly...
View ArticleThe Role of the Organization for Economic Cooperation and Development in...
This article examines the role of the Organization for Economic Cooperation and Development (OECD) in providing information, analysis, and recommendations to facilitate effective and efficient...
View ArticleThe Economics of Managing Scarce Water Resources
This article surveys the literature on the economics of water scarcity and water demand. We examine demand estimation in diverted uses (urban, agricultural, and industrial), as well as the demand for...
View ArticleEuthanizing the Value of a Statistical Life
For economists, the term "value of a statistical life" (VSL) is an eminently reasonable label for the concept it describes. However, outside our discipline, this terminology has been singularly...
View ArticleService quality models in banking: a review
AbstractPurpose â The purpose of this paper is to appraise various service quality models and identify issues for future research based on the analysis of literature. Design/methodology/approach â...
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